Markovian bridges and reversible diffusion processes with jumps

详细信息    查看全文

• 作者：Nicolas Privault ; Jean-Claude Zambrini
• 关键词：Gillespie– ; Sato diffusion models ; Wright– ; Fisher diffusion models ; Reversibility ; Quasi-invariance ; Dirichlet distributions
• 刊名：Annales de l'Institut Henri Poincare (B) Probability and Statistics
• 出版年：2004
• 出版时间：September-October 2004
• 年：2004
• 卷：40
• 期：5
• 页码：599-633
• 全文大小：331 K

文摘

Markovian bridges driven by Lévy processes are constructed from the data of an initial and a final distribution, as particular cases of a family of time reversible diffusions with jumps. In this way we construct a large class of not necessarily continuous Markovian Bernstein processes. These processes are also characterized using the theory of stochastic control for jump processes. Our construction is motivated by Euclidean quantum mechanics in momentum representation, but the resulting class of processes is much bigger than the one needed for this purpose. A large collection of examples is included.